In a large bowl, combine the flour, cornmeal, baking powder, and salt.
Cut in the butter and shortening until the mixture resembles coarse crumbs.
Beat the egg and milk together.
Stir this into the crumb mixture until a soft dough forms.
Place this dough onto a lightly floured surface; knead it 6-8 times or until smooth. Roll it out to 1/4 inch thickness. Cut with a biscuit cutter. Fold each dough circle over a hot dog and press the dough edges to seal (the dough will be sticky).
Place them onto a greased baking sheet.
Bake at 450 for 10-12 minutes or until golden brown.
Combine the honey, yellow mustard, and molasses in a small bowl, mix well.